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Dynamic Valuation of Wind Power Investments under Regulatory Uncertainty: A Monte Carlo Simulation and Real Options Approach

Cilt: 16 Sayı: 4 25 Eylül 2026
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Dynamic Valuation of Wind Power Investments under Regulatory Uncertainty: A Monte Carlo Simulation and Real Options Approach

Öz

This study develops an integrated framework for evaluating renewable energy investments under regulatory uncertainty. The analysis examines a 5 MW wind power plant in Turkey during the period immediately preceding the transition of the Renewable Energy Support Mechanism (YEKDEM) from a USD-based to a TRY-based scheme. This threshold period offers a suitable context to assess how investment decisions respond to uncertainty despite the presence of fixed purchase guarantees. The investment is first assessed using deterministic Net Present Value (NPV) and Present Value (PV) approaches. Subsequently, cash flows are modeled probabilistically through Monte Carlo Simulation (MCS) implemented in Crystal Ball and MATLAB. The convergence of results across platforms confirms the robustness of the modeling framework. Sensitivity analysis and probability distributions derived from MCS identify the key uncertainty factors shaping investment value and enable a risk-oriented assessment beyond deterministic evaluation. Although the project appears financially unviable under traditional discounted cash flow analysis, the valuation of the deferral option using the Black–Scholes model indicates that the investment may become conditionally feasible. The findings demonstrate that managerial flexibility transforms investment timing into a strategic decision variable and that static NPV analysis may underestimate project value during regulatory transition periods.

Anahtar Kelimeler

Real option analysis, Monte Carlo simulation, Investment timing, Wind energy investments, Defer option

Kaynakça

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  2. Aquila, G., de Oliveira Pamplona, E., de Queiroz, A. R., Rotela Junior, P., Fonseca, M. N. (2020). Wind power generation: An assessment of investment projects under uncertainty. Renewable and Sustainable Energy Reviews, 131, 109979.
  3. Arnold, T., Yildiz, Ö. (2015). Economic risk analysis of decentralized renewable energy infrastructures – A Monte Carlo Simulation approach. Renewable Energy, 77, 227–239.
  4. Balibrea-Iniesta, F. (2020). Real options valuation of renewable energy investments under policy uncertainty. Energy Policy, 137, 111163.
  5. Bazilian, M., Roques, F., Saguan, M., Sobhan, A. (2013). A stochastic dynamic programming approach for valuing real options in electricity generation investments. Energy Economics, 40, 308–318.
  6. Bilir, L. (2012). Renewable energy investments and real options approach. Energy Economics, 34(4), 1126–1134.
  7. Black, F., Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy, 81(3), 637–654.
  8. Boomsma, T. K., Linnerud, K. (2015). Market and policy risk under different renewable electricity support schemes. Energy, 89, 435–448.
  9. Brach, M. A. (2003). Real options in practice. John Wiley & Sons.
  10. Burke, M. J., Stephens, J. C. (2018). Political power and renewable energy futures: A critical review. Energy Research & Social Science, 35, 78–93.

Kaynak Göster

APA
Bıyıklı, D., Sesli, F. A., & Kasap, P. (2026). Dynamic Valuation of Wind Power Investments under Regulatory Uncertainty: A Monte Carlo Simulation and Real Options Approach. Karadeniz Fen Bilimleri Dergisi, 16(4), 1571-1591. https://doi.org/10.31466/kfbd.1896109
AMA
1.Bıyıklı D, Sesli FA, Kasap P. Dynamic Valuation of Wind Power Investments under Regulatory Uncertainty: A Monte Carlo Simulation and Real Options Approach. KFBD. 2026;16(4):1571-1591. doi:10.31466/kfbd.1896109
Chicago
Bıyıklı, Duygu, Faik Ahmet Sesli, ve Pelin Kasap. 2026. “Dynamic Valuation of Wind Power Investments under Regulatory Uncertainty: A Monte Carlo Simulation and Real Options Approach”. Karadeniz Fen Bilimleri Dergisi 16 (4): 1571-91. https://doi.org/10.31466/kfbd.1896109.
EndNote
Bıyıklı D, Sesli FA, Kasap P (01 Eylül 2026) Dynamic Valuation of Wind Power Investments under Regulatory Uncertainty: A Monte Carlo Simulation and Real Options Approach. Karadeniz Fen Bilimleri Dergisi 16 4 1571–1591.
IEEE
[1]D. Bıyıklı, F. A. Sesli, ve P. Kasap, “Dynamic Valuation of Wind Power Investments under Regulatory Uncertainty: A Monte Carlo Simulation and Real Options Approach”, KFBD, c. 16, sy 4, ss. 1571–1591, Eyl. 2026, doi: 10.31466/kfbd.1896109.
ISNAD
Bıyıklı, Duygu - Sesli, Faik Ahmet - Kasap, Pelin. “Dynamic Valuation of Wind Power Investments under Regulatory Uncertainty: A Monte Carlo Simulation and Real Options Approach”. Karadeniz Fen Bilimleri Dergisi 16/4 (01 Eylül 2026): 1571-1591. https://doi.org/10.31466/kfbd.1896109.
JAMA
1.Bıyıklı D, Sesli FA, Kasap P. Dynamic Valuation of Wind Power Investments under Regulatory Uncertainty: A Monte Carlo Simulation and Real Options Approach. KFBD. 2026;16:1571–1591.
MLA
Bıyıklı, Duygu, vd. “Dynamic Valuation of Wind Power Investments under Regulatory Uncertainty: A Monte Carlo Simulation and Real Options Approach”. Karadeniz Fen Bilimleri Dergisi, c. 16, sy 4, Eylül 2026, ss. 1571-9, doi:10.31466/kfbd.1896109.
Vancouver
1.Duygu Bıyıklı, Faik Ahmet Sesli, Pelin Kasap. Dynamic Valuation of Wind Power Investments under Regulatory Uncertainty: A Monte Carlo Simulation and Real Options Approach. KFBD. 01 Eylül 2026;16(4):1571-9. doi:10.31466/kfbd.1896109